A desperate search is on for a Colorado woman, who is 15 weeks pregnant, and her two young children that were reported missing since Monday. The FBI and the Colorado Bureau of Investigation (CBI) have joined in the search after the disappearance of Shanann Watts, 34, and her two daughters, Bella, 4, and Celeste, 3.

The Fredrick Police Department said Wednesday in a news conference that officers went to check up on Watts and the girls in her home on Saratoga Trail around 1 p.m. on Monday after a concerned friend said she had not heard of Watts.

"There's a lot at stake here and we are exploring all avenues to make sure nothing is ruled out," said Sgt. Ian Albert, a spokesman with the Frederick PD, adding there's no reason to believe the public is at risk.

One of her friends posted on Facebook that Shanann left her phone, purse, car seats and children's medicine at home early Monday morning, CBS Denver reported. By Tuesday afternoon, the CBI issued an endangered missing alert for all three.

Husband Chris Watts told "Today" that he's living in a "nightmare." According to Watts, the last time he saw his family was in the early morning before leaving to work.

"I want to assure [the Watts family and friends] we are working around the clock in this case. We will not rest until we have the answers we are looking for," Albert said.

Officials are urging anyone with information regarding the case to contact them.

Editor's Note: A prior version of this article reported that the mother was 15 months pregnant. This has since been updated to say 15 weeks.